Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...

With the increased emphasis on market valuation in accounting rules and solvency regulation, the proper modeling of interest rate dynamics has become increasingly important for pension funds. A number of pension fund characteristics make these models particularly demanding. First, as the...

In order to find the real market value of an asset in an exchange economy, one would typically apply the formula appearing in Lucas (1978), developed in a discrete time framework. This theory has also been extended to continuous time models, in which case the same pricing formula has been...

It is well known that a one-dimensional discrete-time model may yield endogenous fluctuations while this is impossible in a one-dimensional continuous-time model. Invernizzi and Medio (1991) recast this time-modeling issue into an aggregation issue. They have proposed a "random-lags approach" as...

A simple and elegant solution to determine the asymptotic results for the renewal density as well as for the first and second moments of the number of renewals for the discrete-time renewal process is presented. Using generating functions, the difficult-to-determine constant term in the second...

We study a discrete time hedging and pricing problem in a market with liquidity costs. Using Leland’s discrete time replication scheme [Leland, H.E., 1985. Journal of Finance, 1283–1301], we consider a discrete time version of the Black–Scholes model and a delta hedging strategy. We derive...

In a recent article, Demichelis and Polemarchakis (2007) highlighted the role played by the frequency of trade on the degree of indeterminacy of equilibrium in economies of overlapping generations. Assuming that time has a finite starting point and extends into the infinite future, they prove...

In a recent article, Demichelis and Polemarchakis (2007) highlighted the role played by the frequency of trade on the degree of indeterminacy of equilibrium in economies of overlapping generations. Assuming that time has a finite starting point and extends into the infinite future, they prove...

The authors (Cason, Friedman and Hopkins, Review of Economic Studies, 2014) claimed that control treatments (using simultaneous matching in discrete time) replicate previous results that exhibit weak or no cycles. After correcting two mathematical mistakes in their cycles tripwire algorithm, we...

We pursue the view that quantum theory may be an emergent structure at large space–time scales. We consider classical Hamiltonian systems in which the intrinsic proper time evolution parameter is related through a probability distribution to the discrete physical time. This is motivated by...